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Recommendation for surrogate optimization #594

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NAThompson opened this issue Jun 20, 2024 · 0 comments
Closed

Recommendation for surrogate optimization #594

NAThompson opened this issue Jun 20, 2024 · 0 comments

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@NAThompson
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NAThompson commented Jun 20, 2024

One of the main uses of surrogate modeling is surrogate optimization. To wit, given an expensive optimization function $\Phi$, queried at a set of points ${p_i}_{i=0}^{n-1}$$, we construct a surrogate model $\Psi$ from these training points in order to compute $p := \mathrm{argmax} \Psi$, which we then use to query $\Phi$. Once $\Phi(p)$ is computed, we repeat this process with an updated surrogate model, in the hope that faster convergence is obtained than direct black box optimization on $\Phi$.

Naively, we should be able to pass any smt surrogate model into some black-box optimization function to complete this process. But surrogate models are not black boxes; each has exploitable structure we could use to quickly perform surrogate optimization; e.g., argmax and argmin could become member functions on each surrogate model class.

Does smt provide guidance on compatible optimizers for surrogate optimization? If not, would pull requests implementing this feature be accepted?

@SMTorg SMTorg locked and limited conversation to collaborators Jun 21, 2024
@relf relf converted this issue into discussion #595 Jun 21, 2024

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